Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0103
Annualized Std Dev 0.2398
Annualized Sharpe (Rf=0%) 0.0429

Row

Daily Return Statistics

Close
Observations 4357.0000
NAs 1.0000
Minimum -0.2491
Quartile 1 -0.0047
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0060
Maximum 0.2534
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0151
Skewness -0.2003
Kurtosis 49.6650

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0116
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.7333
Historical VaR (95%) -0.0202
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2014-06-10 -0.7333 1767 444 1323
2018-01-29 2020-03-18 NA -0.5815 792 538 NA
2014-06-23 2016-01-20 2017-12-22 -0.3333 885 398 487
2003-12-18 2004-07-26 2006-12-01 -0.1855 745 150 595
2007-02-27 2007-03-05 2007-04-04 -0.0500 27 5 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA -0.2 -0.7 -0.9
2004 0.6 -0.6 0.1 -1.5 -0.1 0.8 0.7 1.1 0.9 -0.1 1.2 0.3 3.5
2005 0.6 0.7 0.2 -0.3 0.4 0.4 0.6 -0.1 0.2 -1.2 1.4 0 2.7
2006 0.5 -0.1 -0.5 0 0.5 0.4 -0.2 0.4 0.3 -0.3 0.2 -0.1 1.1
2007 -0.1 -0.6 -0.2 -0.4 0.2 -0.2 0 0.9 1.2 -1.9 1.6 0.4 0.9
2008 0.8 -2 2.6 1.9 -0.5 0.2 -0.5 1 2.8 4.3 -9.9 3.3 3.2
2009 -1.8 -2.3 1.9 0.1 3.3 1.7 0.4 -2.3 -2.3 -2.9 1 -0.5 -3.8
2010 1.5 0.4 1 -1 -2.9 -0.9 0.8 3.4 0.5 -0.1 1 -0.2 3.4
2011 1 -0.7 0.5 0.2 -1.2 1.7 0.8 -0.4 -2.6 -3.2 0.8 1.6 -1.6
2012 0.4 0.2 0.1 0.4 -2.7 1.2 -0.2 1 -0.5 1.3 0.7 1.3 3.3
2013 0.4 0.6 -0.9 -0.4 -1.4 -0.1 0.5 -0.4 1 -0.7 0.3 0.2 -0.8
2014 -1.5 0 0.6 -0.1 0.2 0.7 -1.2 -0.2 -1.3 1.2 -1.7 0 -3.2
2015 -1.1 -0.1 -0.5 0.9 -0.3 0.2 -0.1 -2.5 4.5 0.9 0.6 -0.5 1.8
2016 0.1 2.4 0.1 0.2 0.4 1.1 -0.8 -0.9 0.3 -1.1 0.7 -0.2 2.1
2017 0.3 1.1 -0.4 0.1 0.6 0.3 -0.2 0.9 0.2 0.3 -0.3 0.5 3.6
2018 -0.1 -1.8 1.1 -0.6 0 0.2 -0.3 -0.1 0 1.4 1 1.3 2.2
2019 0.3 0.3 1.1 -0.4 -1.6 0.8 -1 1.1 -0.4 0.7 -0.5 0.4 0.8
2020 -2.2 -3.2 -5.3 -3.2 2.4 0.1 -1 0.1 1.1 -1.2 1.2 -0.2 -11
2021 1.8 1.8 0 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-11-25  20   SPY    106.  0.0038   0.0207   0.0228   0.0584    0.134   -0.224       NA <NA>     NA    NA       NA
2 2003-11-26  20.0 SPY    106.  0.0036   0.0158   0.0127   0.0557    0.16    -0.210       NA <NA>     NA    NA       NA
3 2003-11-28  20.0 SPY    106.  0.0008   0.0257   0.0121   0.0494    0.129   -0.214       NA <NA>     NA    NA       NA
4 2003-12-01  20   SPY    108.  0.0108   0.0325   0.0209   0.0467    0.145   -0.186       NA <NA>     NA    NA       NA
5 2003-12-02  20.1 SPY    107. -0.0025   0.0165   0.0193   0.0384    0.140   -0.204       NA <NA>     NA    NA       NA
6 2003-12-03  20.2 SPY    107. -0.0016   0.011    0.011    0.0363    0.154   -0.212       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart